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Robust estimation of intraweek...
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Robust estimation of intraweek periodicity in volatility and jump detection
BOUDT, Kris
;
CROUX, Christophe
;
LAURENT, Sabéastien
-
Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010675086
Saved in:
2
Outlyingness weighted covariation
BOUDT, Kris
;
CROUX, Christophe
;
LAURENT, Sébastien
-
Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010927480
Saved in:
3
Outlyingness weighted covariation
BOUDT, Kris
;
CROUX, Christophe
;
LAURENT, Sébastien
-
Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010675396
Saved in:
4
Estimation and decomposition of downside risk for portfolios with non-normal returns
Boudt, Kris
;
Peterson, Brian
;
Croux, Christophe
- In:
Journal of risk
11
(
2008/09
)
2
,
pp. 79-103
Persistent link: https://www.econbiz.de/10003809417
Saved in:
5
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
-
2008
Persistent link: https://www.econbiz.de/10003977900
Saved in:
6
Robust M-estimation of multivariate conditionally heteroscedastic time series models with elliptical innovations
Boudt, Kris
(
contributor
);
Croux, Christophe
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003624500
Saved in:
7
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
Saved in:
8
Jump robust daily covariance estimation by disentangling variance and correlation components
Boudt, Kris
;
Cornelissen, Jonathan
;
Croux, Christophe
-
2010
Persistent link: https://www.econbiz.de/10008989131
Saved in:
9
The Gaussian rank correlation estimator : robustness properties
Boudt, Kris
;
Cornelissen, Jonathan
;
Croux, Christophe
-
2010
Persistent link: https://www.econbiz.de/10008989132
Saved in:
10
The impact of a sustainability constraint on the mean-tracking error efficient frontier
Boudt, Kris
;
Cornelissen, Jonathan
;
Croux, Christophe
- In:
Economics letters
119
(
2013
)
3
,
pp. 255-260
Persistent link: https://www.econbiz.de/10009755748
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